Part of the reason that I like this sort of set up, is that some of the first dungeon crawls I played were set up this way. While I played some D&D games when I was a kid, they were not dungeon crawls, and my first exposure to this was games like Eye of the Beholder. More recently, games like The Legend of Grimrock and it's sequel give a similar setup.
|No going back|
Honestly, locking a person into a dungeon is the only reason most sane people would willingly continue down halls filled with monsters, traps, curses, and other means of a horrible end. It is a survival aspect, you HAVE to deal with these challenge or you starve in the darkness.
I also like the idea of a scarce resource environment where the players have to search, hunt, and deal with limited food, lighting, and other needs while still dealing with all the other hazards. This fixed ecosystem of supplies creates a tension that doesn't exist, if the players can just turn around and go back to town whenever they want.
Then there is the loot! It is interesting to have to make a hard choice between the gear you know, and what might be a much better sword/helm/whatever, but also having to deal with encumbrance, cursed items, and knowing that it might be a long time dragging all this stuff around.
Now, some players hate the idea of being trapped. It removes player choice and freedom. I get that. But every once in awhile, I want to feel trapped, to be pushed to explore deeper not just for curiosity's sake but as a means of survival.
What I think I like most of all though, is that the locked dungeon is just simple. There isn't the question of where to go, or if it is time to turn back. There is just the tunnel... and what lays beyond.